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Value-at-Risk Approach to Currency Crises： A Brazilian Example With the Central Bank and Currency Based Assets＊

Chinese Business Review 2013年第9期12卷 593-609页

作者： marcelo zeuli Banco Central do Brasil Rio de Janeiro Brazil IAG/PUC Rio de Janeiro Brazil

This paper uses a Value at Risk （VaR） approach to evaluate a country financial vulnerability, by analyzing the risk exposure of its Central Bank, as if their assets are subject to market risk. The Brazilian currency exchange swaps contracts （USS/Brazilian Reais） are submitted to a delta-normal VaR method, in order to evaluate the market risk of each swaps series, by modeling the variance of the daily returns, from August 1999 to January 2003. All daily returns series exhibited heteroscedasticity in the conditional variance and sudden changes in the unconditional variance. The points of changes of the unconditional variance were determined through the Iterative Cumulative Sum of Squares （ICSS） algorithm, and the conditional variance was modeled with Markov-Switching-Generalized Autoregressive Conditional Heteroscedasticity （SWGARCH） in order to capture heteroscedasticity and regime change. The results lead to two main conclusions： First, a VaR model must incorporate heteroscedasticity and regime switching in order to describe the variance of the tested series, submitted to brisk changes of economic and political scenarios. Second, a volatility-based VaR do not necessarily generate forward-looking indicators, but rather coincident indicators of possible financial vulnerabilities. The future research will evolve towards evaluating the effects of the Basel III recommendations as if they could be applied to this crisis period.

关键词： emerging markets market risk volatility GARCH models regime switching

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Basel III and Central Banks With Multiple Objectives： Convergences Between Targets

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Chinese Business Review 2014年第2期13卷 75-93页

作者： marcelo zeuli Banco Central do Brasil Rio de Janeiro Brazil IAG/PUC Rio de Janeiro Brazil

This text evaluates the convergence among the main targets of a Central Bank, like the Brazilian Central Bank, with that deals with objectives such as inflation targeting, bank regulation, and financial inclusion, when it operates subject to the Bank for International Settlements （BIS） recommendations gathered in the recent Basel III agreement. A Brazilian conjuncture analysis starts with the economic stabilization plan known as Piano Real （July, 1994） and takes account that, from 2007 onwards, the world economy is going through troubled times unchained by the international financial crisis that motivated the recent Basel Agreement （Basel III）. There are two lines of analysis： macroeconomic and marketing. From the macroeconomic approach, there are plenty models to predict money supply and monetary aggregates. From a marketing perspective, it can be inferred that technologies potentially innovatives may alter the current scenario. The financial time series chosen are： daily money supply, banking reserves, and annual inflation （monthly announced）. The first statistical and empirical evidences from the period （July, 1994 to December, 2011） show that the management of banking reserves does not interfere with the continuous growth of the monetary base plus demand deposits （M1） and cash in circulation, which possibly indicates an increasing financial inclusion. Moreover, there is no evidence that it creates inflationary pressures. The future works may require competencies pertinent to prospective finance and consumer behavior （marketing）.

关键词： Basel III finance inclusion inflation targeting volatility

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Twenty years of human immunodeficiency virus care at the Mayo Clinic:Past,present and future

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World Journal of Virology 2016年第2期5卷 63-67页

作者： Nathan W Cummins Andrew D Badley Mary J Kasten Rahul Sampath Zelalem Temesgen Jennifer A Whitaker John W Wilson Joseph D Yao John zeuli Stacey A Rizza Division of Infectious Diseases Mayo ClinicRochester

The Mayo human immunodeficiency virus(HIV) Clinic has been providing patient centered care for persons living with HIV in Minnesota and beyond for the past 20 years. Through multidisciplinary engagement, vital clinical outcomes such as retention in care, initiation of antiretroviral therapy and virologic suppression are maximized. In this commentary, we describe the history of the Mayo HIV Clinic and its best practices, providing a "Mayo Model" of HIV care that exceeds national outcomes and may be applicable in other settings.

关键词： Human immunodeficiency virus/acquired immune deficiency syndrome Patient engagement Care Cascade Multidisciplinary care Minimally disruptive medicine

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